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Basel Committeeon Banking Supervision
International Convergenceof Capital Measurementand Capital Standards
A Revised Framework
Updated November 2005
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Bank for International Settlements 2005. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.
ISBN print: 92-9131-669-5ISBN web: 92-9197-669-5
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Table of Contents
Abbreviations .............................................................................................................. iIntroduction .............................................................................................................. 1Part 1: Scope of Application ......................................................................................... 7
I. Introduction .............................................................................................................. 7II. Banking, securities and other financial subsidiaries ................................................. 7III. Significant minority investments in banking, securities and other financial entities .. 8IV. Insurance entities ...................................................................................................... 8V. Significant investments in commercial entities ......................................................... 10VI. Deduction of investments pursuant to this part ......................................................... 10
Part 2: The First Pillar
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Minimum Capital Requirements ......................................... 12
I. Calculation of minimum capital requirements ........................................................... 12A. Regulatory capital .............................................................................................. 12B. Risk-weighted assets ......................................................................................... 12C. Transitional arrangements ................................................................................. 13II. Credit Risk
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The Standardised Approach ............................................................... 15A. Individual claims ................................................................................................ 151. Claims on sovereigns ................................................................................. 152. Claims on non-central government public sector entities (PSEs) ............... 163. Claims on multilateral development banks (MDBs) .................................... 174. Claims on banks ......................................................................................... 175. Claims on securities firms ........................................................................... 196. Claims on corporates .................................................................................. 197. Claims included in the regulatory retail portfolios ....................................... 198. Claims secured by residential property ....................................................... 209. Claims secured by commercial real estate ................................................. 2010. Past due loans ............................................................................................ 2111. Higher-risk categories ................................................................................. 2112. Other assets ............................................................................................... 2213. Off-balance sheet items .............................................................................. 22B. External credit assessments .............................................................................. 231. The recognition process .............................................................................. 232. Eligibility criteria .......................................................................................... 23C. Implementation considerations .......................................................................... 241. The mapping process ................................................................................. 242. Multiple assessments .................................................................................. 243. Issuer versus issues assessment ............................................................... 244. Domestic currency and foreign currency assessments .............................. 255. Short-term/long-term assessments ............................................................. 256. Level of application of the assessment ....................................................... 267. Unsolicited ratings ...................................................................................... 26D. The standardised approach
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credit risk mitigation ........................................... 271. Overarching issues ..................................................................................... 27(i) Introduction .......................................................................................... 27(ii) General remarks .................................................................................. 27(iii) Legal certainty ...................................................................................... 272. Overview of Credit Risk Mitigation Techniques .......................................... 28(i) Collateralised transactions ................................................................... 28(ii) On-balance sheet netting ..................................................................... 30
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